Article ID: | iaor19982272 |
Country: | Netherlands |
Volume: | 88 |
Issue: | 1 |
Start Page Number: | 23 |
End Page Number: | 27 |
Publication Date: | Jan 1996 |
Journal: | European Journal of Operational Research |
Authors: | Yli-Olli Paavo, Perttunen Jukka, Martikainen Teppo, Gunasekaram A. |
Keywords: | Finland |
The purpose of this note is to analyze the effects to infrequent trading on the APT systematic risk components using Finnish data. Infrequent trading is reported to influence especially the first systematic risk component produced by factor analysis on stock returns.